How can I get a smooth rounded shaped normal map?
Tangent space normal maps give transforms of normal values relative to the face normal, if the face normals are not smooth then it doesn't follow that the normal map will be either.

In this case it looks like your face normals are discontinuous on the cylinder's 'curved' edges, and thus so is the normal map. This will probably render fine.

If you do want a continuous normal map, you could set these faces to be smooth shaded on the lower poly.